Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Professor of Economic Statistics

Via Battisti, 241

Padova, 35121

Italy

SCHOLARLY PAPERS

72

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CITATIONS
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114

Scholarly Papers (72)

1.

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Number of pages: 29 Posted: 05 Feb 2009 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,047 (19,749)
Citation 18

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Conditional correlations, conditional covariances, diagonal models, forecasting, generalized models, Hadamard models, scalar models, targeting

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Number of pages: 19 Posted: 07 Feb 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 530 (49,835)
Citation 18

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Conditional Correlations, Conditional Covariances, Diagonal Models, Forecasting, Generalized Models, Hadamard Models, Scalar models, Targeting

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Journal of Economic Surveys, Vol. 26, Issue 4, pp. 736-751, 2012
Number of pages: 16 Posted: 07 Aug 2012
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1 (669,456)
Citation 18
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Asymptotic theory, Conditional correlations, Conditional covariances, Diagonal models, Scalar models, Targeting

3.

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Number of pages: 50 Posted: 06 Aug 2008 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 526 (50,944)
Citation 2

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multivariate asymmetry, conditional variance, stationarity conditions, asymptotic theory, multivariate news impact curve

4.
Downloads 508 ( 53,214)
Citation 9

The Ten Commandments for Managing Investments

Number of pages: 6 Posted: 18 Feb 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 506 (52,872)
Citation 9

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Ten Commandments, managing investments, investment rules, risk management, financial advisers, portfolio diversification

The Ten Commandments for Managing Investments

Journal of Economic Surveys, Vol. 24, Issue 1, pp. 196-200, February 2010
Number of pages: 5 Posted: 06 Jan 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 2 (655,156)
Citation 9
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5.

A Generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation

University Ca' Foscari of Venice Economics Research Paper No. 53/06
Number of pages: 21 Posted: 30 Nov 2006
Monica Billio and Massimiliano Caporin
Ca Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 467 (59,169)
Citation 12

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Dynamic correlations, Block-structures, Flexible correlation models

A Scientific Classification of Volatility Models

Number of pages: 7 Posted: 10 Dec 2008 Last Revised: 24 Mar 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 407 (69,289)

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Volatility, taxonomy, GARCH, stochastic volatility, realized volatility

A Scientific Classification of Volatility Models

Journal of Economic Surveys, Vol. 24, Issue 1, pp. 192-195, February 2010
Number of pages: 4 Posted: 06 Jan 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 2 (655,156)
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7.

Volatility Threshold Dynamic Conditional Correlations: An International Analysis

Forthcoming, Journal of Financial Econometrics
Number of pages: 45 Posted: 05 Mar 2007 Last Revised: 29 Oct 2012
Maria Kasch and Massimiliano Caporin
University of Mannheim - Department of Finance and University of Padua - Department of Statistical Sciences
Downloads 406 (70,149)

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Dynamic Correlations, Volatility Thresholds, Comovement, Contagion

8.

Ranking Multivariate GARCH Models by Problem Dimension

Number of pages: 107 Posted: 09 May 2010 Last Revised: 16 Oct 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 362 (80,173)
Citation 3

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Covariance forecasting, model confidence set, model ranking, MGARCH, model comparison

9.

Market Volatility, Optimal Portfolios and Naive Asset Allocations

Ca Foscari University of Venice Working Paper No. 08/WP/2012
Number of pages: 18 Posted: 10 Jul 2012 Last Revised: 03 Oct 2012
Massimiliano Caporin and Loriana Pelizzon
University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 309 (95,808)

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mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

10.

On the Predictability of Stock Prices: A Case for High and Low Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 18 Jun 2011 Last Revised: 15 Jun 2013
Massimiliano Caporin, Angelo Ranaldo and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of St. Gallen and Aarhus University - CREATES
Downloads 309 (95,808)

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high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis

11.

Model Selection and Testing of Conditional and Stochastic Volatility Models

Number of pages: 30 Posted: 14 Sep 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 309 (95,808)
Citation 4

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Volatility Model Selection, Volatility Model Comparison, Non-Nested Models, Model Confidence Set, Value-At-Risk Forecasts, Asymmetry, Leverage

12.

Block Structure Multivariate Stochastic Volatility Models

Number of pages: 35 Posted: 18 Dec 2009
Manabu Asai, Massimiliano Caporin and Michael McAleer
Soka University - Faculty of Economics, University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 309 (95,808)
Citation 6

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block structures; multivariate stochastic volatility; curse of dimensionality

13.

On the Evaluation of Marginal Expected Shortfall

Number of pages: 7 Posted: 17 Oct 2010
Massimiliano Caporin and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences and Aarhus University - CREATES
Downloads 307 (96,492)
Citation 1

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Marginal Expected Shortfall, Log-Returns, Systemic Risk

14.

Systemic Co-Jumps

SAFE Working Paper No. 149
Number of pages: 49 Posted: 15 Oct 2016
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 292 (101,860)

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Jumps, Return predictability, Systemic events, Variance Risk Premium

15.

Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model

Number of pages: 30 Posted: 12 Oct 2008 Last Revised: 15 Jun 2013
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 288 (103,397)
Citation 10

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realized volatility, forecasting, Value-at-Risk, Wishart

16.

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

SAFE Working Paper No. 166
Number of pages: 63 Posted: 13 Feb 2017
Monica Billio, Massimiliano Caporin, Roberto Panzica and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 265 (112,902)

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CAPM, volatility, network, interconnections, systematic risk

17.

Ensemble Properties of High Frequency Data and Intraday Trading Rules

Number of pages: 27 Posted: 09 Feb 2012 Last Revised: 18 Jul 2013
University of Padua, Prime Minister's Office, University of Padua - Department of Statistical Sciences, University of Padua and University of Padua
Downloads 261 (114,733)

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time series ensemble, trading rule, long memory

18.
Downloads 245 (122,455)
Citation 2

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 126 (221,459)
Citation 2

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Sovereign Risk, Contagion, Disintegration

Measuring Sovereign Contagion in Europe

Number of pages: 246 Posted: 17 Mar 2012 Last Revised: 13 Mar 2014
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 119 (231,340)
Citation 2

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Sovereign Risk, Contagion

Networks in Risk Spillovers: A Multivariate GARCH Perspective

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 03/WP/ 2016
Number of pages: 52 Posted: 04 Mar 2016
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 164 (178,244)

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spatial GARCH, network, risk spillover, financial spillover

Networks in Risk Spillovers: A Multivariate GARCH Perspective

SAFE Working Paper No. 225
Number of pages: 86 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 64 (343,377)

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spatial GARCH; network; risk spillover; financial spillover

20.

Precious Metals under the Microscope: A High-Frequency Analysis

University of St. Gallen, School of Finance Research Paper No. 2014/9, Forthcoming in Quantitative Finance
Number of pages: 30 Posted: 13 May 2013 Last Revised: 23 Jun 2014
Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Padua - Department of Economics
Downloads 223 (134,461)

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precious metals, high-frequency data, liquidity, commonality in liquidity, intradaily periodicity

21.

Comparing and Selecting Performance Measures for Ranking Assets

Number of pages: 35 Posted: 22 Apr 2009 Last Revised: 29 Jun 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 222 (135,069)
Citation 2

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performance measurement, rank correlations, selecting performance measures, comparing performance measures, combining performance measures

22.

Dynamic Principal Components: A New Class of Multivariate GARCH Models

Number of pages: 84 Posted: 04 Feb 2015
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 219 (136,803)

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Spectral Decomposition, Principal Component Analysis, Orthogonal GARCH, Scalar BEKK, DCC, Multivariate GARCH, Two-step Estimation

23.

Any Role for Mean Reversion in Short Term Asset Allocation?

Number of pages: 37 Posted: 17 Feb 2009
Massimiliano Caporin, Frans de Roon and Loriana Pelizzon
University of Padua - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 200 (149,010)

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mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

24.

Equity and CDS Sector Indices: Dynamic Models and Risk Hedging

Number of pages: 27 Posted: 03 Jun 2012
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 196 (151,879)

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optimal hedge ratios, equity risk hedging, bond risk, CDS index, VIX index, economic sectors

25.

Market Linkages, Variance Spillovers and Correlation Stability: Empirical Evidences of Financial Contagion

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 18-07
Number of pages: 103 Posted: 09 Oct 2007
Monica Billio and Massimiliano Caporin
Ca Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 181 (163,291)
Citation 1

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Financial market contagion, Market linkages, Variance spillovers, Dynamic correlations, Rolling correlations, Transformed correlations

26.

Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options

Number of pages: 38 Posted: 30 Sep 2010
Massimiliano Caporin, Juliusz Pres and Hipòlit Torró
University of Padua - Department of Statistical Sciences, Szczecin University of Technology and University of Valencia
Downloads 168 (174,440)

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weather derivatives, Quanto options pricing, derivative pricing, model simulation and forecast

27.

On the (Ab)Use of Omega?

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 02/WP/2015
Number of pages: 73 Posted: 03 Feb 2015 Last Revised: 12 Jul 2016
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 165 (177,119)

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Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance

28.

CDS Industrial Sector Indices, Credit and Liquidity Risk

Ca’ Foscari University of Venice Working Paper No. 09/WP/2012
Number of pages: 26 Posted: 10 Jul 2012
Monica Billio, Massimiliano Caporin, Loriana Pelizzon and Domenico Sartore
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 160 (181,805)
Citation 1

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credit risk, common factors, liquidity risk

29.

Structured Multivariate Volatility Models

Number of pages: 39 Posted: 21 Dec 2008 Last Revised: 29 Jun 2009
Massimiliano Caporin and Paolo Paruolo
University of Padua - Department of Statistical Sciences and European Commission Joint Research Center
Downloads 160 (181,805)
Citation 6

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MGARCH, Stochastic Volatility, Realized Volatility, Spatial models, ANOVA

30.

Memory Time-Varying Models for Weather Derivative Pricing

Number of pages: 61 Posted: 05 Jan 2009 Last Revised: 16 Dec 2009
Massimiliano Caporin and Juliusz Pres
University of Padua - Department of Statistical Sciences and Szczecin University of Technology
Downloads 159 (182,825)

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weather derivatives, long memory, time-varying long memory, derivative pricing, model simulation and forecast

31.

Modelling and Forecasting Wind Speed Intensity for Weather Risk Management

Number of pages: 37 Posted: 09 Dec 2009 Last Revised: 17 Dec 2009
Massimiliano Caporin and Juliusz Pres
University of Padua - Department of Statistical Sciences and Szczecin University of Technology
Downloads 156 (185,733)
Citation 1

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Gamma Auto Regressive, Auto Regressive Gamma, ARFIMA-FIGARCH, wind speed modeling, wind speed simulation

32.

On the Role of Risk in the Morningstar Rating for Mutual Funds

Number of pages: 24 Posted: 22 May 2009 Last Revised: 12 Oct 2009
Francesco Lisi and Massimiliano Caporin
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 141 (201,808)

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Rater agreement, beta-equivalence, mutual funds, Morningstar rating

Comparing and Selecting Performance Measures Using Rank Correlations

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 5, 2011-10
Number of pages: 36 Posted: 15 Dec 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 78 (307,078)

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performance measurement, rank correlations, comparing performance measures

Comparing and Selecting Performance Measures Using Rank Correlations

Economics Discussion Paper No. 2011-14
Number of pages: 31 Posted: 08 Jun 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 61 (352,052)

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performance measurement, rank correlations, comparing performance measures

34.

Estimation and Model-Based Combination of Causality Networks

SAFE Working Paper No. 165
Number of pages: 95 Posted: 02 Feb 2017
Giovanni Bonaccolto, Massimiliano Caporin and Roberto Panzica
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Research Center SAFE
Downloads 137 (206,550)

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Granger Causality, Quantile Causality, Multi-Layer Network, Network Combination

35.

Conditional Jumps in Volatility and Their Economic Determinants

Number of pages: 42 Posted: 09 Sep 2011
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 130 (215,467)
Citation 1

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volatility, jumps in volatility, realized range, HAR

36.

Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

Number of pages: 72 Posted: 09 Oct 2013 Last Revised: 23 Oct 2013
University of Padua - Department of Statistical Sciences, Complutense University of Madrid and Universidad Rey Juan Carlos
Downloads 127 (219,319)

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Multivariate GARCH, conditional correlations, currency futures, optimal hedge ratios, hedging strategies.

37.

Realized Range Volatility Forecasting: Dynamic Features and Predictive Variables

Number of pages: 32 Posted: 09 Sep 2013
Massimiliano Caporin and Gabriel G. Velo
University of Padua - Department of Statistical Sciences and University of Padua - Department of Economics
Downloads 125 (221,950)

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Realized Range Volatility, Long-memory, Volatility forecasting, Macroeconomic variables

38.

Proximity-Structured Multivariate Volatility Models

Number of pages: 30 Posted: 21 May 2009 Last Revised: 14 May 2013
Massimiliano Caporin and Paolo Paruolo
University of Padua - Department of Statistical Sciences and European Commission Joint Research Center
Downloads 125 (221,950)
Citation 4

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MGARCH, Stochastic Volatility, Realized Volatility, spatial models, ANOVA

39.

Methodological Aspects of Time Series Back-Calculation

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 56/06
Number of pages: 17 Posted: 12 Dec 2006
Massimiliano Caporin and Domenico Sartore
University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 125 (221,950)
Citation 2

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benchmarking, retropolation, historical reconstruction, back-forecasting, missing past values, aggregation, disaggregation

40.

A Conditional CAPM Model with Local Covariates for Detecting and Evaluating Active Management

Number of pages: 31 Posted: 27 Sep 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 120 (228,921)

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conditional CAPM, time-varying parameters, local covariates, mutual funds

41.

Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 19-07
Number of pages: 32 Posted: 09 Oct 2007
Monica Billio, Massimiliano Caporin and Guido Cazzavillan
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 119 (230,307)

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Business cycle, Chronology, Historical reconstruction, Monthly GDP

42.

Multi-Jumps

Number of pages: 63 Posted: 30 Aug 2014
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 112 (240,657)

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multi-jumps, co-jumps, price jumps, multivariate jumps, jumps testing

43.

Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil

SAFE Working Paper No. 172
Number of pages: 56 Posted: 14 Jun 2017 Last Revised: 10 Nov 2017
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE and Montpellier Business School
Downloads 106 (250,167)

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Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies

44.

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Number of pages: 55 Posted: 13 May 2011
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 106 (250,167)
Citation 2

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dynamic conditional correlations, time series clustering, multivariate GARCH, composite likelihood

45.

The Long-Run Oil-Natural Gas Price Relationship and the Shale Gas Revolution

Number of pages: 24 Posted: 15 Jul 2015
Massimiliano Caporin and Fulvio Fontini
University of Padua - Department of Statistical Sciences and affiliation not provided to SSRN
Downloads 104 (253,564)

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Shale Gas, Natural Gas, Crude Oil, Cointegration, Vector Error Correction Models

46.

Risk Spillovers in International Equity Portfolios

Number of pages: 32 Posted: 17 Jul 2011 Last Revised: 11 Mar 2012
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 103 (255,268)

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Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution

47.

Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 57 Posted: 29 May 2017 Last Revised: 09 Jan 2018
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 101 (258,708)

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unconventional monetary policy, integration, international equity markets, CDS

48.

Modeling and Forecasting Realized Range Volatility

Marco Fanno Working Paper No. 128-2011
Number of pages: 10 Posted: 06 Feb 2011
Massimiliano Caporin and Gabriel G. Velo
University of Padua - Department of Statistical Sciences and University of Padua - Department of Economics
Downloads 97 (265,668)

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Statistical analysis of financial data, Econometrics, Forecasting methods, Time series analysis, Realized Range Volatility, Realized Volatility, Long-memory, Volatility forecasting

49.

The Evolution of Shadow Banking System in Emerging Economies: The Role of Entrusted Loans in China’s Capital Market

Number of pages: 41 Posted: 29 May 2018
Mayank Gupta and Massimiliano Caporin
Cass Business School City University London and University of Padua - Department of Statistical Sciences
Downloads 94 (271,087)

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China, Shadow Banking, Banks, Stress Tests, Off-Balance Sheet Investment Vehicles

50.

Asset Allocation Strategies Based on Penalized Quantile Regression

Number of pages: 34 Posted: 03 Jul 2015
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 94 (271,087)

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Quantile regression, l1-norm penalty, pessimistic asset allocation

51.

Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500

Number of pages: 45 Posted: 02 Oct 2014
Massimiliano Caporin, Luca Corazzini and Michele Costola
University of Padua - Department of Statistical Sciences, University of Padua - Department of Economics and Goethe University Frankfurt - Research Center SAFE
Downloads 74 (313,568)

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investment decision, behavioral agents, mixture model, behavioral expectations

52.

Time-Varying Persistence in US Inflation

Number of pages: 20 Posted: 09 Oct 2014
Massimiliano Caporin and Rangan Gupta
University of Padua - Department of Statistical Sciences and University of Pretoria - Department of Economics
Downloads 71 (320,869)

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Persistence, US Inflation Rate, Time-Varying Long Memory

53.

Expected Jumps and the Cross-Section of Equity Returns

Number of pages: 36 Posted: 29 Aug 2018 Last Revised: 04 Oct 2018
Massimiliano Caporin, Walter Distaso and Nancy Zambon
University of Padua - Department of Statistical Sciences, Imperial College Business School and University of Padua - Department of Economics
Downloads 70 (323,333)

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jumps, equity returns, risk premia

54.

Chasing Volatility: A Persistent Multiplicative Error Model with Jumps

Number of pages: 50 Posted: 30 Aug 2014
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 69 (325,833)

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Multiplicative Error Model with Jumps, Jumps in volatility, Realized measures, Volatility-at-Risk

55.

A Forecast Based Comparison of Restricted Realized Covariance Models

Number of pages: 35 Posted: 24 Feb 2010
Massimiliano Caporin, Angelo Ranaldo and Matteo Bonato
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Johannesburg - Department of Economics and Econometrics
Downloads 69 (325,833)

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Realized covariance, WAR, HAR, multivariate volatility forecasts

56.

Backward/Forward Optimal Combination of Performance Measures for Equity Screening

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13
Number of pages: 31 Posted: 29 Jul 2012
Monica Billio, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Research Center SAFE
Downloads 67 (331,059)

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performance measures, combining performance measures, portfolio

57.

Modelling and Forecasting the Realized Range Conditional Quantiles

Number of pages: 42 Posted: 12 Oct 2014
Giovanni Bonaccolto and Massimiliano Caporin
University "Kore" of Enna and University of Padua - Department of Statistical Sciences
Downloads 63 (341,846)

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Realized Range Volatility, Quantile regression, Volatility quantiles forecasting

58.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
Monica Billio, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Research Center SAFE
Downloads 57 (359,091)

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performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution

59.

Misspecification Tests for Periodic Long Memory GARCH Models

Number of pages: 19 Posted: 06 Aug 2008
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 56 (362,116)

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Long Memory, Generalized Long Memory GARCH models, PLM- GARCH models, misspecification tests

60.

Fast Clustering of GARCH Processes Via Gaussian Mixture Models

Number of pages: 28 Posted: 03 Jun 2012
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 54 (368,412)

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Gaussian Mixtures, financial time series clustering, Multivariate GARCH, block structures

61.

Decomposing and Backtesting a Flexible Specification for CoVaR

Number of pages: 44 Posted: 05 Dec 2017
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition

62.

Analytical Gradients of Dynamic Conditional Correlation models

Number of pages: 15 Posted: 22 Jan 2011 Last Revised: 14 Jun 2011
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
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DCC, cDCC, analytical gradient

63.

The Value of Protecting Venice from the Acqua Alta Phenomenon Under Different Local Sea Level Rises

Number of pages: 20 Posted: 20 Feb 2014
Massimiliano Caporin and Fulvio Fontini
University of Padua - Department of Statistical Sciences and affiliation not provided to SSRN
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Acqua Alta, Local Sea Level Rise, Cost-Benefit

64.

Asymmetry and Uncertainty Across Energy and FX Markets

Number of pages: 33 Posted: 11 Nov 2014
Ahmed A.A. Khalifa, Massimiliano Caporin and Shawkat M. Hammoudeh
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences and Montpellier Business School
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Asymmetry, Interdependence, Uncertainty, Business cycle, Energy, FX

65.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2015
Number of pages: 37 Posted: 17 Jun 2015
Michele Costola and Massimiliano Caporin
Goethe University Frankfurt - Research Center SAFE and University of Padua - Department of Statistical Sciences
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learner agent, investment decision, behavioral agents, Bayesian updating

66.

Option Pricing with Anomalous Scaling and Infinite-State Switching Volatility

Number of pages: 53 Posted: 03 Jun 2013
University of Padua, University of Padua - Department of Statistical Sciences, University of Padua, University of Padua and Human Genetics Foundation
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option pricing, anomalous scaling, Markov switching, GARCH

67.

A Note on Calculating Autocovariances of Long-Memory Processes

Journal of Time Series Analysis, Vol. 23, pp. 503-508, 2002
Number of pages: 6 Posted: 23 Jun 2003
Stefano Bertelli and Massimiliano Caporin
affiliation not provided to SSRN and University of Padua - Department of Statistical Sciences
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68.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices (Web Appendix)

Number of pages: 35 Posted: 07 Nov 2015
Michele Costola and Massimiliano Caporin
Goethe University Frankfurt - Research Center SAFE and University of Padua - Department of Statistical Sciences
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combining performance measures, portfolio allocation, learning agent process

69.

Price Convergence within and between the Italian Electricity Day-Ahead and Dispatching Services Markets

Number of pages: 48 Posted: 11 Feb 2018
Massimiliano Caporin, Fulvio Fontini and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of Siena - Department of Economics and Aarhus University - CREATES
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zonal prices, convergence between zones, convergence within zones, fractional cointegration, long-run equilibrium

70.

A Survey on the Four Families of Performance Measures

Journal of Economic Surveys, Vol. 28, Issue 5, pp. 917-942, 2014
Number of pages: 26 Posted: 28 Oct 2014
University of Padua - Department of Statistical Sciences, University Paris-1 Panthéon-Sorbonne, University of Padua - Department of Statistical Sciences and EMLyon Business School (Paris Campus)
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Fund selection, Performance measures, Ranking, Return Distribution, Risk

71.

Evaluating Value-at-Risk Measures in Presence of Long Memory Conditional Volatility

Journal of Risk, Vol. 10, No. 3, 2008
Posted: 29 Dec 2008
Massimiliano Caporin
University of Padua - Department of Statistical Sciences

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long memory, Value-at-Risk, loss functions, capital charges

72.

Dynamic Asymmetric Garch

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 385-412, 2006
Posted: 29 Feb 2008
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute

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asymmetric volatility, DAGARCH, stationarity conditions, threshold GARCH